Pricing illiquid options with n + 1 liquid proxies using mixed dynamic-static hedging

Igor Halperin; Andrey Itkin

Year of publication:	2013
Authors:	Halperin, Igor ; Itkin, Andrey
Published in:	International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 16.2013, 7, p. 1-17
Subject:	Incomplete market \| indifference pricing \| illiquid option \| dynamic/static hedge \| HJB equation \| operator splitting method \| Hedging \| Unvollkommener Markt \| Optionspreistheorie \| Option pricing theory \| Liquidität \| Liquidity \| Optionsgeschäft \| Option trading \| Derivat \| Derivative

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